Chen, Zhenlong; Zhou, Jialian; Hao, Xiaozhen - In: Journal of innovation & knowledge : JIK 8 (2023) 4, pp. 1-9
during the COVID-19 pandemic. In this paper, we propose a dynamic factor model to optimize the risk of high-dimensional … portfolios. To describe the dependence structure, we employ the factor copula model, driven by a GAS (Generalized Autoregressive …